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Quantitative Finance · Glosarium

Apa itu Risk-weighted assets?

Definition 2.13 Markets I: The Ecosystem and Exchange-Traded Markets · Bab 2 — The Sell Side

A bank’s risk-weighted assets (RWA) are its exposures, each multiplied by a regulatory weight reflecting its risk; the bank must hold equity capital of at least a fixed percentage of their sum. For a trading desk, the market-risk part of RWA is computed from the riskiness of its positions under the Basel Committee’s market-risk standard.

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